1. R. Alquist, R. Israel, and T. J. Moskowitz. Fact, fiction, and the size effect. The Journal of Portfolio Management, 45(1):3–30, 2018.
  2. L. Angelini, M. Iqbal, and F. Jivraj. Systematic 13f hedge fund alpha. Barclays QIS Insights, 2019.
  3. C. S. Asness, T. J. Moskowitz, and L. H. Pedersen. Value and momentum everywhere. Journal of Finance, 58(3):929–985, 2013.
  4. C. R. Bacon. Practical Portfolio Performance Measurement and Attribution. Wiley, 2005.
  5. R. Banz. The relationship between return and market value of common stock. Journal of Financial Economics, 9(1):3–18, 1981.
  6. P. L. Bernstein. Against the Gods: The Remarkable Story of Risk. Wiley, 1996.
  7. A. Beveratos, J.-P. Bouchaud, S. Ciliberti, L. Laloux, Y. Lempérière, M. Potters, and G. Simon. Deconstructing the low-vol anomaly. Journal of Portfolio Management, 44(1):91–103, 2014.
  8. A. J. Black, B. Mao, and D. G. McMillan. The value premium and economic activity: Long-run evidence from the United States. Journal of Asset Management, 10(5):305–317, 2009.
  9. F. Black, M. C. Jensen, and M. Scholes. The capital asset pricing model: Some empirical tests. In M. C. Jensen, editor, Studies in the Theory of Capital Markets, pages 79–121. Praeger Publishing Co, 1972.
  10. D. Blitz, E. Falkenstein, and P. van Vliet. Explanations for the volatility effect: An overview based on the CAPM assumptions. Journal of Portfolio Management, 40(3):61–76, 2014.
  11. J. B. Buckheit and D. L. Donoho. Wavelab and reproducible statistics. In A. Antoniadis and G. Oppenheim, ...

Get Advanced Portfolio Management now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.